This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life … annuity products. Within the Solvency II framework, we capture the mortality of policyholders by the mean of the Hull …

more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are … then supposed to become larger and more heterogeneous. With respect to the insurer’s risk profile, there is a trade … obtained by applying adjustment coefficients to population mortality rates. Such a choice is not supported by a rigorous model …

result in a reduction in expected costs and equivalence premiums. However, due to the different impact of longevity risk on …, time restrictions reduce the duration of the provider’s liability, which should therefore be less exposed to financial risk … time frames for life annuity arrangements, first addressing longevity risk only, and then including also financial risk …

examined under a hypothetical life annuity portfolio subject to longevity risk. The paper presents various hedging features …-based longevity swap and a cap are analyzed in this paper under a tractable stochastic mortality model. The model is calibrated using … Australian mortality data and analytical formulas for prices of longevity derivatives are provided. Hedge effectiveness is …